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Stock market reaction to financial statement certification by bank holding company CEOs
Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]
had a measurable effect on the stock market valuation of the forty-two bank holding companies subject to the SEC order. I …
Persistent link: https://www.econbiz.de/10001783071
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What to expect from the lower bound on interest rates : evidence from derivatives prices
Mertens, Thomas M.; Williams, John C. - 2018
This paper analyzes the effects of the lower bound for interest rates on the distributions of expectations for future inflation and interest rates. We study a stylized New Keynesian model where the policy instrument is subject to a lower bound to motivate the empirical analysis. Two equilibria...
Persistent link: https://www.econbiz.de/10011894408
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10001936329
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An analysis of OTC interest rate derivatives transactions : implications for public reporting
Fleming, Michael J.; Jackson, John; Li, Ada; Sarkar, Asani - 2012
This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product...
Persistent link: https://www.econbiz.de/10009528779
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A sampling-window approach to transactions-based libor fixing
Duffie, Darrell; Skeie, David; Vickery, James - 2013
We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan...
Persistent link: https://www.econbiz.de/10009709346
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Complexity in large U.S. banks
Goldberg, Linda S.; Meehl, April - 2019
While both size and complexity are important for the largest U.S. bank holding companies (BHCs), specific types of … complex has declined. Favorable tax treatment locations still attract a significant share of the foreign bank and nonbank …
Persistent link: https://www.econbiz.de/10011975489
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Regulation and risk shuffling in bank securities portfolios
Fuster, Andreas; Vickery, James - 2018
Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy … change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some … banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond …
Persistent link: https://www.econbiz.de/10011868435
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Agency problems and risk taking at banks
Demsetz, Rebecca S.; Saidenberg, Marc R.; Strahan, Philip E. - 1997
Persistent link: https://www.econbiz.de/10000980381
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Entry restrictions, industry evolution, and dynamic efficiency : evidence from commercial banking
Jayaratne, Jith; Strahan, Philip E. - 1997
Persistent link: https://www.econbiz.de/10000982522